PT - JOURNAL ARTICLE
AU - Plessen, Mogens Graf
AU - Bemporad, Alberto
TI - <em>A Posteriori</em> Multistage Optimal Trading under Transaction Costs and a Diversification Constraint
AID - 10.3905/jot.2018.1.064
DP - 2018 Jul 31
TA - The Journal of Trading
PG - 67--83
VI - 13
IP - 3
4099 - http://jot.iijournals.com/content/13/3/67.short
4100 - http://jot.iijournals.com/content/13/3/67.full
AB - This article presents a simple method for a posteriori (historical) multivariate, multistage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, the authors analyze the stage-wise optimal allocation over a time horizon with potential investments in multiple currencies and various assets. Three variants are discussed: unconstrained trading frequency, a fixed number of total admissible trades, and waiting a specific time period after every executed trade until the next trade. The developed methods are based on efficient graph generation and consequent graph search and are evaluated quantitatively on real-world data. The fundamental motivation of this work is preparatory labeling of financial time-series data for supervised machine learning.